The objective of this article is to investigate the behaviour of the time-varying volatility in 11 Middle East and North African (MENA) countries’ stock market using a three-state Markov regime switching model over the period from 30 October 2006 to 21 October 2011. We find that MENA stock market volatility can be characterised by three regimes: tranquil period with low volatility of volatility, turmoil regime with high volatility of volatility and crisis regime with extremely high volatility of volatility. Besides, the Granger causation effects from the MSCI World index to MENA stock markets are stronger and statistically significant especially in crisis regime.
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